Archimedean copula

[alfredo]

Hi everyone,

I'm traying to estimate families of multivariate Archimedean copulas (Clayton, Gumbel and Frank) from historical data.
The first problem arise while estimating the kendall's tau or spearman's rho from the data needed for the simulation of the copula.

I've read many papers on the subject and none of them shows a code or a clear algorithm, but only complicated formulas for computer implementation or suggest a method barely explained. Does anyone knows a paper or a book where the author go into thecnical issues

thanks in advance for any suggestion.

 

[Bastian Gross]

Tools for sampling Multivariate Archimedean Copulas

Hello Alfredo,

several algorithms are in the paper by Melchiori.

 

[schmellow]

Hi alfredo

have a look at this one Implementing Models in Quantitative Finance: Methods and Cases it´s nicely explained and some matlab code online. Sections on calibrating copulae and sampling from various copulae you can find here Copula Methods in Finance. A lot of papers on the subject are available on the site of Christian Genest.

regards

 

[mrmelchi]

Excel and R code

Hi,

I am Mario Melchiori. The VBA and R codes are free available for everybody, just e-mail me.
Mario.Melchiori@gmail.com

I hope to help.

Regards.

 

[tigergb]

Copula estimation and simulation codes: Tags：copula - Quantitative Finance Collector
hope it helps.

 

[adil ELHALOUI]

parameter estimate of the Archimedean copula (method CML)

hello everyone
I need your help, I can not find the MATLAB code for the parameter estimate trivariate Archimedean copulas. for the bivariate case I have not found the flaw? Please this is urgent !!!!!

 

[D Serg]

I don't know much about the subject, but I know one young genius who writes about this topic.

his papers are here
http://lehre.wiwi.hu-berlin.de/Professuren/quantitativ/statistik/members/personalpages/o2/Publications


His name is Ostap Okhrin
Ukrainian-born, 26 years old professor from German University.
http://lehre.wiwi.hu-berlin.de/Professuren/quantitativ/statistik/members/personalpages/o2


@Andy, you may contact him about interview, actually. I know his author of some quant-finance books and his quite famous.

 

[ThinkDifferent]

I don't know much about the subject, but I know one young genius who writes about this topic.

lol since when writing a few average papers on copulas qualifies you as a genius?

 

[Nirajan]

i am also having the same problem, did you solved it